Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0555
Annualized Std Dev 0.3146
Annualized Sharpe (Rf=0%) -0.1765

Row

Daily Return Statistics

Close
Observations 3575.0000
NAs 1.0000
Minimum -0.1665
Quartile 1 -0.0100
Median 0.0010
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0105
Maximum 0.1062
SE Mean 0.0003
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0198
Skewness -0.3037
Kurtosis 4.1542

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0131
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0191
Downside Deviation (Rf=0%) 0.0144
Downside Deviation (0%) 0.0144
Maximum Drawdown 0.9055
Historical VaR (95%) -0.0316
Historical ES (95%) -0.0468
Modified VaR (95%) -0.0326
Modified ES (95%) -0.0556
From Trough To Depth Length To Trough Recovery
2008-07-15 2020-04-28 NA -0.9055 3194 2968 NA
2007-11-21 2008-01-23 2008-02-19 -0.1133 60 42 18
2007-01-09 2007-01-18 2007-01-31 -0.0974 16 7 9
2008-05-22 2008-06-04 2008-06-06 -0.0893 11 9 2
2007-08-03 2007-08-22 2007-09-12 -0.0816 28 14 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -1.6 -0.5 -0.9 -0.6 1.2 1 -0.5 0.6 -1.3 -1 -1.4 0 -4.9
2008 -2.4 -0.9 -1 -2.6 0.9 0.9 0.6 -0.2 -2 3.8 -4.5 5.6 -2.2
2009 0.1 -1.1 -1.4 4.1 2.2 -0.8 1.3 -1.6 0.1 -3.2 1 0.1 0.6
2010 2.7 -1 2.3 1 -2.6 -2.6 0.6 2.4 1.8 1.6 3 2.2 11.9
2011 0 2.9 1.4 0.6 -2.6 0 -0.5 -0.1 -4.8 -1.7 0 -0.5 -5.2
2012 -1 1.8 -0.1 1.2 -3.8 7 1.4 1.6 0.5 0.9 1 0.9 11.7
2013 0.2 -0.9 -0.1 -2.4 -1.9 0.8 0.8 -1.3 -0.3 -1 0.6 -0.2 -5.6
2014 -0.8 0.4 -2 -0.5 -0.7 0 -0.4 0.9 -1 -0.2 3.3 0.3 -0.9
2015 7.7 1.5 2.3 0.3 -0.1 -2.8 -2.4 -7.3 -1 1.5 -0.3 0.7 -0.7
2016 -6.9 0.1 -3.7 0 0.7 2 -2.6 -2.5 0.6 0.4 3.4 0.1 -8.6
2017 1.4 -0.3 0.5 -0.7 -0.4 2.5 -1.5 0.5 -0.2 -0.2 1.7 0.2 3.3
2018 1.8 0 0.3 -1.2 -1.3 1 -1.8 -0.3 3.1 -2.5 -1.2 1.8 -0.5
2019 2.4 -1.8 1.6 0 -5.4 2 -5.9 -2.7 -1.2 3.5 -4.3 -0.8 -12.2
2020 -2 -2.8 -3.9 -3.1 1.7 1 0.7 0.7 -2.9 -1.4 -1.4 0.1 -12.7
2021 2.8 -1.7 2.8 NA NA NA NA NA NA NA NA NA 3.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart